Solving generalized linear model of Black-Scholes with classical finite volume method (Q5075855)
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scientific article; zbMATH DE number 7525547
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| English | Solving generalized linear model of Black-Scholes with classical finite volume method |
scientific article; zbMATH DE number 7525547 |
Statements
SOLVING GENERALIZED LINEAR MODEL OF BLACK-SCHOLES WITH CLASSICAL FINITE VOLUME METHOD (English)
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12 May 2022
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Black-Scholes equation
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European option
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premium
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strike price
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maturity
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classical finite volume method
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numerical flux
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diffusion term
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source term
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0.7848771810531616
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0.7631662487983704
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0.7534119486808777
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